Kendall's tau-based inference for gradually changing dependence structures

DOI10.1007/S00362-023-01471-8MaRDI QIDQ6579412

Felix Camirand Lemyre, Jean-François Quessy

Publication date: 25 July 2024

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

change-point detectionweighted U-statisticsuniform weak convergencegradual-change modelintegrated Brownian Bridge

Mathematics Subject Classification ID

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Cites Work

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• Weak convergence and empirical processes. With applications to statistics
• Nonparametric tests for change-point detection à la Gombay and Horváth
• Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series
• Multivariate Kendall's tau for change-point detection in copulas
• Rank tests for changepoint problems
• TESTING FOR CHANGES IN KENDALL’S TAU
• A NEW MEASURE OF RANK CORRELATION

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